Results 51 to 60 of about 7,005,793 (301)
European Option Pricing with Transaction Costs in Lévy Jump Environment
Abstract and Applied Analysis, 2014 The European option pricing problem with transaction costs is investigated for a risky asset price model with Lévy jump. By the aid of arbitrage pricing theory and the generalized Itô formula (which includes Poisson jump), the explicit solution to the ...
Jiayin Li, Huisheng Shu, Xiu Kan
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Covered interest arbitrage opportunities in the South African foreign exchange market
South African Journal of Business Management, 1987 The Interest Parity Theory states that in an efficient market, any interest differential between local and foreign sources of finance will be offset by the forward premium/discount.
C. de J. Correia, R. F. Knight
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Journal of Banking & Finance, 2015 The last decade?s boom and bust in U.S. commercial real estate (CRE) prices was at least as large as that in the housing market and also had a large effect on bank failures.
John V. Duca, David C. Ling
semanticscholar +1 more source
Exchange Rate Risk and Deviations From Purchasing Power Parity
International Journal of Finance &Economics, EarlyView.ABSTRACT This paper proposes a new solution to the purchasing power parity (PPP) puzzles, arguing that investors' higher‐order risk attitudes, combined with higher‐order uncertainty about nominal exchange rates, as reflected by skewness and kurtosis, drive a risk premium that leads to deviations from PPP.
Michael G. Arghyrou +2 more
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Battery energy management strategies for UK firm frequency response services and energy arbitrage
The Journal of Engineering, 2019 Due to the increasing renewable penetration, there is potential for larger and faster grid frequency fluctuations increasing the risk of system instability.
Burcu Gundogdu +3 more
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Expectations and Speculation in the US Natural Gas Market
International Journal of Finance &Economics, EarlyView.ABSTRACT This paper aims to assess the role of expectations as a determinant of the real price of natural gas in the US. Three specifications of a structural VAR (SVAR) model are estimated to identify an expectations‐driven speculative demand shock. The first includes natural gas inventories, consistently with the theory of storage; the second the risk‐
Christina Anderl +1 more
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Annales Universitatis Paedagogicae Cracoviensis: Studia Mathematica, 2017 In this paper, we discuss the no-arbitrage condition in a discrete financial market model which does not hold the same interest rate assumptions. Our research was based on, essentially, one of the most important results in mathematical finance, called ...
Marek Karaś, Anna Serwatka
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Economics and Business Review, 2020 In this paper an extension of the well-known binomial approach to option pricing is presented. The classical question is: What is the price of an option on the risky asset?
Bieta Volker, Broll Udo, Siebe Wilfried
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Forecasting Natural Gas Prices in Real Time
Journal of Applied Econometrics, EarlyView.ABSTRACT This paper provides a comprehensive analysis of the forecastability of the real price of natural gas in the United States at the monthly frequency considering a universe of models that differ in complexity and economic content. We find that considerable reductions in mean‐squared prediction error relative to a no‐change benchmark can be ...
Christiane Baumeister +3 more
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Optimal Market-Neutral Multivariate Pair Trading on the Cryptocurrency Platform
International Journal of Financial StudiesThis research proposes a novel arbitrage approach in multivariate pair trading, termed the Optimal Trading Technique (OTT). We present a method for selectively forming a “bucket” of fiat currencies anchored to cryptocurrency for monitoring and exploiting
Hongshen Yang, Avinash Malik
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